Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0069
Annualized Std Dev 0.1001
Annualized Sharpe (Rf=0%) -0.0692

Row

Daily Return Statistics

Close
Observations 3273.0000
NAs 1.0000
Minimum -0.0671
Quartile 1 -0.0031
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0034
Maximum 0.0552
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0063
Skewness -0.7041
Kurtosis 12.2689

Downside Risk

Close
Semi Deviation 0.0047
Gain Deviation 0.0041
Loss Deviation 0.0049
Downside Deviation (MAR=210%) 0.0103
Downside Deviation (Rf=0%) 0.0047
Downside Deviation (0%) 0.0047
Maximum Drawdown 0.3173
Historical VaR (95%) -0.0094
Historical ES (95%) -0.0149
Modified VaR (95%) -0.0100
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2008-03-28 2008-11-21 2011-04-26 -0.3173 777 168 609
2012-12-21 2020-03-18 NA -0.2984 2075 1821 NA
2011-05-02 2011-11-25 2012-12-17 -0.1221 411 146 265
2008-03-20 2008-03-20 2008-03-24 -0.0047 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA -1.6 -1.1 0 -0.2 -1.1 -0.1 0.7 -0.2 -2 0 -5.5
2009 -1.2 0.4 1.1 0.2 0.8 0.5 1.6 0.4 -0.1 -0.6 1 0.4 4.7
2010 0.8 -0.4 0.5 0.7 0 0.9 0.8 0.5 0.8 0.1 0.5 1 6.4
2011 0.8 -0.1 0.2 0.6 -1 -0.2 -1.1 -0.6 -0.3 -1.2 -0.2 0.2 -3
2012 1.2 0 0.5 0.2 0 0.9 -0.6 0.4 0.3 0.2 0.2 0.3 3.7
2013 0.2 -0.4 0 0.2 -0.5 0.2 -0.6 -0.3 0 -1.3 0.2 -0.1 -2.5
2014 -0.4 0.5 0.2 -0.4 0 0.1 -0.6 0.1 0.4 -0.7 0.1 0.1 -0.7
2015 -0.1 0 0.5 -1.1 -0.9 -0.9 0.7 0.7 0 0.1 0.7 -0.1 -0.3
2016 0.5 0.3 -0.2 0.6 0 -0.1 -0.1 0.4 -0.2 -0.5 -0.3 -0.1 0.3
2017 1.1 -0.7 0.2 0.1 0.8 0.2 0.2 0.3 0 -0.1 0.7 0.3 3.2
2018 -0.6 -0.1 0.6 -0.9 -0.5 0.5 -0.7 0.1 -0.3 0.9 -0.1 0.2 -0.9
2019 0.1 -0.6 0.2 0 0.2 -0.6 -0.3 -0.4 -0.3 0 0.6 0.1 -1
2020 0.3 -0.5 -1.4 -0.6 0.4 0.4 0 0.1 -0.2 -0.5 0.1 0.1 -1.8
2021 -0.3 0.1 -0.2 NA NA NA NA NA NA NA NA NA -0.4

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart